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Tekijä: | Chiang, T. C. Chiang, J. J. |
Otsikko: | On the nonlinear specifications of the short-term interest rate behavior: Evidence from euro-currency markets |
Lehti: | Review of Quantitative Finance and Accounting
1999 : JUN, VOL. 12:4, p. 351-370 |
Asiasana: | Currency Euro Markets Interest rates Models |
Kieli: | eng |
Tiivistelmä: | This paper presents a coherent nonlinear interest rate model incorporating the dynamics of the error correction specification into the traditional term structure model. |
SCIMA